Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Year of publication: |
2004
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Authors: | Schlicht, Ekkehart |
Publisher: |
München : Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät |
Subject: | Hodrick-Prescott filter | Kalman filter | Kalman-Bucy | Whittaker-Henderson graduation | spline | state-space models | random walk | time-varying coefficients | adaptive estimation | time-series | seasonal adjustment | trend |
Series: | Munich Discussion Paper ; 2004-2 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5282/ubm/epub.304 [DOI] 812571649 [GVK] hdl:10419/104132 [Handle] RePEc:lmu:muenec:304 [RePEc] |
Classification: | C22 - Time-Series Models |
Source: |
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Estimating the smoothing parameter in the so-called Hodrick-Prescott filter
Schlicht, Ekkehart, (2004)
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Schlicht, Ekkehart, (2004)
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
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